The solution is quite a weird one but I have it figured out.
I realized that the error was occurring on the InitializeComponent() of the window, I then added a try catch to the constructor and showed the InnerException of the Exception.
The error that I received is “Image format not recognized”.
I have no idea why this happens only on XP and the second time that the window is shown but by replacing my .ico with a .png the problem was resolved.
Hope this helps someone.